Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0257
Annualized Std Dev 0.3468
Annualized Sharpe (Rf=0%) 0.0741

Row

Daily Return Statistics

Close
Observations 3710.0000
NAs 1.0000
Minimum -0.1639
Quartile 1 -0.0092
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0094
Maximum 0.1717
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0218
Skewness 0.3137
Kurtosis 8.7763

Downside Risk

Close
Semi Deviation 0.0151
Gain Deviation 0.0171
Loss Deviation 0.0160
Downside Deviation (MAR=210%) 0.0195
Downside Deviation (Rf=0%) 0.0150
Downside Deviation (0%) 0.0150
Maximum Drawdown 0.7121
Historical VaR (95%) -0.0327
Historical ES (95%) -0.0510
Modified VaR (95%) -0.0297
Modified ES (95%) -0.0297
From Trough To Depth Length To Trough Recovery
2006-12-28 2009-03-09 2016-11-15 -0.7121 2489 551 1938
2018-06-11 2020-03-23 2021-02-23 -0.5721 681 449 232
2017-03-02 2017-09-07 2017-11-29 -0.1646 190 132 58
2018-03-12 2018-03-23 2018-05-22 -0.0941 51 10 41
2018-01-24 2018-02-08 2018-03-06 -0.0696 29 12 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA -0.5 -0.8 -0.1 -1.2 -1.3 -0.4 -1.4 -5.6
2007 0.8 -0.1 -0.3 -0.3 1.2 -0.9 0.5 0.8 2.2 -5.8 2.2 0.6 0.7
2008 2.3 -2.8 4.7 4.4 -1.2 1.5 2.1 0.2 5 5.3 -16.4 3.4 6.7
2009 -3.3 -3.1 3.4 -2.3 1 1.2 1 -4.1 -3.3 -5 -0.1 -0.7 -14.8
2010 -0.2 -0.6 0.2 -3 -2.7 -1.5 -0.5 4.1 -0.3 -3 3.4 -1.1 -5.2
2011 1.8 -1.5 1.1 -0.6 -3.7 1.6 -0.1 -3.6 -3.6 -4.9 -0.9 -1.3 -14.9
2012 1.9 0.4 -0.4 0.4 -4.7 2.2 -0.7 0.1 -0.2 1.3 -0.2 1 0.8
2013 1.4 0.1 -1.2 -2 -1.3 1.8 2 -1.5 1.4 -0.2 -0.1 0.3 0.6
2014 -1.9 1.2 1.9 -0.4 -0.1 1.3 -1.5 0.5 -1.2 1.8 -2.1 -1.1 -1.5
2015 -1.2 -0.5 -0.1 -0.8 -0.4 1.3 -0.2 -3.9 -0.1 -2.2 0.2 -1 -8.6
2016 -0.7 4.2 0.3 -0.5 0.4 -1.1 -1 -0.7 1.8 -0.2 2 0.4 4.8
2017 -0.2 3.3 -1 1.1 1.8 -0.5 0.7 0.9 0.6 -0.6 0 -1 5.2
2018 1.5 0.1 0.9 0.7 1 -0.7 1 0.6 -1 1 1.3 0.6 7.1
2019 0.9 0.4 2.9 -1.2 -2.1 0.6 -4.2 0.2 -2.3 2.1 -0.6 0.3 -3
2020 -2 -2.9 -6.5 -4.7 1 -4.2 -0.9 0.1 0.7 1.5 2.6 0.6 -14.2
2021 1.8 3.6 -0.8 NA NA NA NA NA NA NA NA NA 4.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-22  47.9 SPY    124. -0.0044  -0.0132  -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103    0.0072
2 2006-06-23  47.3 SPY    124. -0.0002  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
3 2006-06-26  47.8 SPY    125.  0.0044   0.0107  -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
4 2006-06-27  47.4 SPY    124. -0.0086  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
5 2006-06-28  47.4 SPY    125.  0.0068  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
6 2006-06-29  48.4 SPY    127.  0.0202   0.0226  -0.0019  -0.0195   0.0621    0.304   0.036  GLD    59.5  0.0344    0.031 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart